Abstract
Episodes of extraordinary turbulence in global financial markets are examined during nine crises ranging from the Asian crisis in 1997-98 to the recent European debt crisis of 2010-13. After dating each crisis using a regime switching model, the analysis focuses on changes in the dependence structures of equity markets through correlation, coskewness and covolatility to address a range of hypotheses regarding contagion transmission. The results show that the great recession is a true global financial crisis. Finance linkages are more likely to result in crisis transmission than trade and emerging market crises transmit unexpectedly, particularly to developed markets.
Original language | English |
---|---|
Pages (from-to) | 521-570 |
Number of pages | 50 |
Journal | Open Economies Review |
Volume | 25 |
Issue number | 3 |
DOIs | |
Publication status | Published - Jul 2014 |
Externally published | Yes |
Keywords
- Argentinian crisis
- Asian crisis
- Brazil crisis
- Contagion testing
- Correlation
- Coskewness
- Covolatility
- Dot-com crisis
- European debt crisis
- Global financial crisis
- Great recession
- LTCM crisis
- Russian crisis
- Sub-prime crisis